Search found 21 matches

Fri Apr 01, 2011 5:11 am
Forum: Testing and Simulation
Topic: How to calculate actual slippage from real life results?
Replies: 8
Views: 3067
lol, i will get started on teh BlackSwan.tbx right away then
Thu Mar 31, 2011 2:22 pm
Forum: Testing and Simulation
Topic: How to calculate actual slippage from real life results?
Replies: 8
Views: 3067
Ah yes, of course - I need not worry about producing a trade on a backtest which is outside of the OHLC bar. In fact, it might be "more realistic" than history.....

Thanks for the help.
Thu Mar 31, 2011 11:21 am
Forum: Testing and Simulation
Topic: How to calculate actual slippage from real life results?
Replies: 8
Views: 3067
lol @ sarcasm, fair enuff ;-) ..... BUT I WANT WANT WANT quick easy fixes/hacks..... writing a custom slippage block is sooo far down the to-do-list that it isn't even funny. OK I'm going to try and think for myself here, so please be patient with me..... I should imagine that 1-5 above are going to...
Thu Mar 31, 2011 4:25 am
Forum: Testing and Simulation
Topic: How to calculate actual slippage from real life results?
Replies: 8
Views: 3067
Thanks sluggo, I did see that, it does seem useful. Fwiw I'm trading stocks, so sometimes I will only trade an instrument once, hence I haven't looked closely until now. Nonetheless, I guess in theory using ATR/volatility based slippage would overcome my above calculation problem. However, at this p...
Wed Mar 30, 2011 4:39 pm
Forum: Testing and Simulation
Topic: How to calculate actual slippage from real life results?
Replies: 8
Views: 3067

How to calculate actual slippage from real life results?

I want to derive a meaningful value to plug back into TB from my actual trading data. TB defines the slippage as the percentage of the OrderFill from the OrderPrice to the DaysHigh: Slippage % = (ActualFill - OrderPrice) / (High - OrderPrice) * 100 Which is all when and good. I can then calculate my...
Thu Dec 10, 2009 3:20 pm
Forum: Stocks
Topic: Help with auction orders on IB?
Replies: 5
Views: 4836
You can't enter the auction with SMART routing, it has to be direct to the exchange.
Thu Dec 10, 2009 9:51 am
Forum: Stocks
Topic: Help with auction orders on IB?
Replies: 5
Views: 4836
Hmmm.... All my previous attempts got cancelled at 9:30, on open Today my order to buy 100 on ARCA during the auction didn't get cancelled immediately, but instead just sat there for a while. IB state "The order will be converted to a limit order at the Calculated Opening Price if it is not filled d...
Thu Dec 10, 2009 6:13 am
Forum: Stocks
Topic: Help with auction orders on IB?
Replies: 5
Views: 4836

AUC is the order type auction on IB workstation.

My orders were for >100. Could it be that only round lots are accepted? I will try that today.
Mon Dec 07, 2009 4:17 pm
Forum: Stocks
Topic: Help with auction orders on IB?
Replies: 5
Views: 4836

Help with auction orders on IB?

The opening auction provides the best prices for my strategy. I have attempted to enter the auction on IB using exchange:ARCA and order type of AUC. I have tried both limit and market orders.

They always get cancelled at the market open. IB aren't being much help. Any ideas?
Tue Jul 14, 2009 6:04 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
"many of the fundamentally driven-funds suffer from very obvious structural deficiencies" Would you elaborate on this statement? I'm sure you know more about this than me, but what I'm getting at are the majority of the big players - insurance companies, pension funds, mutual funds etc don't seem t...
Fri Jul 10, 2009 6:19 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
Funnily enough, the first (and probably last....) epiphany I have ever had with regard to trading was when I noticed the fat tail effect. I remember getting really excited, ranting at my wife whilst drawing graphs in the air, lol. It's interesting how coming at the problem from a gambling background...
Thu Jul 09, 2009 5:03 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
Don't worry, no disrespect taken. I agree with everything you are saying to some extent - I'm pretty sceptical of everything, including my own beliefs (and yours). I'm sure you realise that I am playing devils advocate to try and understand the issues better. Could we not re-write your last post, bu...
Wed Jul 08, 2009 9:39 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
For the entire 1989-1991 out of sample period, the accuracy was 53.06 percent winners, and the average annual return was 14.96 percent -- less than that of a buy-and-hold strategy, which would have earned a 18.46 percent average annual return over the same period. I'm not a big fan of these drag-ne...
Wed Jul 08, 2009 8:42 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
OK that makes alot of sense, thanks. On the other hand, I'm still of the belief that there of the simple fundamental scans, there is good evidence for Growth/GARP etc. Sorry, I have no references to hand - perhaps I need to revisit the evidence. In relation to your arguments, there may be an "unreal...
Wed Jul 08, 2009 7:27 am
Forum: Testing and Simulation
Topic: Cats out of the BAG LTTF VS SWINGING
Replies: 34
Views: 30999

Re: Cats out of the BAG LTTF VS SWINGING

RedRock wrote:deleted
Why were these posts deleted? The cat may be out of the bag, but I can't see it!
Wed Jul 08, 2009 7:00 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
Question: Why would you think this stock's price doesn't already reflect all of this stuff? Because I would be thinking that, for a variety of reasons, markets aren't terribly efficient? Couldn't we ask the same question of e.g. trend following? In fact, could some trends be related to periods of p...
Wed Jul 08, 2009 5:22 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
ecritt wrote: From what I can see, firms that have implemented such have been worse off for it...in many cases dramatically worse off.
Weird. Any ideas about why this might be the case?

In my short foray into studying the markets, they have done nothing but confound my logic
Tue Jul 07, 2009 8:44 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
What do you mean by "GARP-style filter"? Perhaps an example? Thanks. e.g. decent eps growth with not-too demanding p/e. Or even just simply eps growth of perhaps >20%. I'm too inexperienced to give you anything more precise than that, sorry. It's just from my limited knowlege and experience, these ...
Mon Jul 06, 2009 1:08 pm
Forum: Testing and Simulation
Topic: Question for Trading Blox users
Replies: 14
Views: 6874
With regards to the idea that returns are higher after a large DD, Faith touches on this in WOTT when he talks about people proclaiming "The Death of Trend Following", which then tends to correlate with subsequent periods of better returns for trend following. It does seem logical that after a large...
Mon Jul 06, 2009 12:48 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33723
DeanoT wrote:Very similar analogy to poker. Losing players who willingly take the worst of the odds will occasionally bust you, and frustrate you with their illogical thinking, but over the long term, they are the source of your winnings.
There's a phrase we poker players use..... "Don't tap the glass"